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st: RE: rho, sigma_u, sigma_e in xtreg
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
st: RE: rho, sigma_u, sigma_e in xtreg
Date
Fri, 30 Apr 2010 22:42:11 +0200
<>
Have you had a look at the Methods and Formulas section in the manual entry
for -xtreg-? If you want to check Stata`s calculation:
***
webuse nlswork, clear
gen age2 = age*age
gen ttl_exp2 = ttl_exp*ttl_exp
gen tenure2 = tenure*tenure
gen byte black = race==2
xtset idcode
xtreg ln_w grade age* ttl_exp* tenure* /*
*/ black not_smsa south, fe
di "Rho is: " in r e(sigma_u)^2/(e(sigma_u)^2+e(sigma_e)^2)
***
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Katherine Packman
Sent: Freitag, 30. April 2010 22:34
To: [email protected]
Subject: st: rho, sigma_u, sigma_e in xtreg
I have somewhat of a basic question.
I am running xtreg assuming random effects for 150 observations
(cross-section is 10 and timeseries is 15). I was wondering if anyone
could explain what rho, sigma_u and sigma_e mean. This is an example
of my output:
. xtreg pmor dumcov dumuni dum_cu lnprd prduni
Random-effects GLS regression Number of obs =
150
Group variable: session Number of groups =
10
R-sq: within = 0.2093 Obs per group: min =
15
between = 0.6968 avg =
15.0
overall = 0.3196 max =
15
Random effects u_i ~ Gaussian Wald chi2(5) =
50.32
corr(u_i, X) = 0 (assumed) Prob > chi2 =
0.0000
----------------------------------------------------------------------------
--
pmor | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
dumcov | .1254805 .0344025 3.65 0.000 .0580529
.1929082
dumuni | -.0042582 .0392887 -0.11 0.914 -.0812628
.0727463
dum_cu | -.1437736 .0444134 -3.24 0.001 -.2308223
-.0567249
lnprd | -.077336 .0130727 -5.92 0.000 -.102958
-.051714
prduni | .0101917 .002951 3.45 0.001 .0044079
.0159756
_cons | .886512 .0343942 25.78 0.000 .8191005
.9539234
-------------+--------------------------------------------------------------
--
sigma_u | .02692048
sigma_e | .0829595
rho | .09526924 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
Any help would be appreciated.
Cheers
--
Katherine
University of Alberta
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